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Alexander Wehrli

Personal Details

First Name:Alexander
Middle Name:
Last Name:Wehrli
Suffix:
RePEc Short-ID:pwe465
[This author has chosen not to make the email address public]

Affiliation

(80%) Schweizerische Nationalbank (SNB)

Bern/Zürich, Switzerland
http://www.snb.ch/
RePEc:edi:snbgvch (more details at EDIRC)

(20%) Department of Management, Technology and Economics (D-MTEC)
Eidgenössische Technische Hochschule Zürich (ETHZ)

Zürich, Switzerland
http://www.mtec.ethz.ch/
RePEc:edi:dmethch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Didier Sornette & Florian Ulmann & Alexander Wehrli, 2022. "On the Directional Destabilizing Feedback Effects of Option Hedging," Swiss Finance Institute Research Paper Series 22-34, Swiss Finance Institute.
  2. Alexander Wehrli & Didier Sornette, 2021. "Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process," Swiss Finance Institute Research Paper Series 21-35, Swiss Finance Institute.
  3. Alexander Wehrli & Didier Sornette, 2020. "Classification of flash crashes using the Hawkes(p,q) framework," Swiss Finance Institute Research Paper Series 20-92, Swiss Finance Institute.
  4. Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2020. "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Swiss Finance Institute Research Paper Series 20-39, Swiss Finance Institute.
  5. Spencer Wheatley & Alexander Wehrli & Didier Sornette, 2018. "The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality," Swiss Finance Institute Research Paper Series 18-57, Swiss Finance Institute.

Articles

  1. Alexander Wehrli & Didier Sornette, 2022. "Classification of flash crashes using the Hawkes(p,q) framework," Quantitative Finance, Taylor & Francis Journals, vol. 22(2), pages 213-240, February.
  2. Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2021. "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Quantitative Finance, Taylor & Francis Journals, vol. 21(5), pages 729-752, May.
  3. Spencer Wheatley & Alexander Wehrli & Didier Sornette, 2019. "The endo–exo problem in high frequency financial price fluctuations and rejecting criticality," Quantitative Finance, Taylor & Francis Journals, vol. 19(7), pages 1165-1178, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Didier Sornette & Florian Ulmann & Alexander Wehrli, 2022. "On the Directional Destabilizing Feedback Effects of Option Hedging," Swiss Finance Institute Research Paper Series 22-34, Swiss Finance Institute.

    Cited by:

    1. Jimmy E. Hilliard & Jitka Hilliard, 2023. "The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 635-661, May.

  2. Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2020. "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Swiss Finance Institute Research Paper Series 20-39, Swiss Finance Institute.

    Cited by:

    1. Huang, Lorick & Khabou, Mahmoud, 2023. "Nonlinear Poisson autoregression and nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 201-241.
    2. Stindl, Tom, 2023. "Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 182-198.

  3. Spencer Wheatley & Alexander Wehrli & Didier Sornette, 2018. "The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality," Swiss Finance Institute Research Paper Series 18-57, Swiss Finance Institute.

    Cited by:

    1. Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020. "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers 2007.15545, arXiv.org, revised Aug 2021.
    2. Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
    3. Schatz, Michael & Wheatley, Spencer & Sornette, Didier, 2022. "The ARMA Point Process and its Estimation," Econometrics and Statistics, Elsevier, vol. 24(C), pages 164-182.

Articles

  1. Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2021. "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Quantitative Finance, Taylor & Francis Journals, vol. 21(5), pages 729-752, May.
    See citations under working paper version above.
  2. Spencer Wheatley & Alexander Wehrli & Didier Sornette, 2019. "The endo–exo problem in high frequency financial price fluctuations and rejecting criticality," Quantitative Finance, Taylor & Francis Journals, vol. 19(7), pages 1165-1178, July.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2019-04-15 2020-06-08 2020-11-16. Author is listed
  2. NEP-MST: Market Microstructure (3) 2019-04-15 2020-06-08 2020-11-16. Author is listed
  3. NEP-ETS: Econometric Time Series (2) 2019-04-15 2020-11-16. Author is listed
  4. NEP-ORE: Operations Research (1) 2019-04-15. Author is listed

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